Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0225
Annualized Std Dev 0.1956
Annualized Sharpe (Rf=0%) 0.1153

Row

Daily Return Statistics

Close
Observations 5585.0000
NAs 1.0000
Minimum -0.1484
Quartile 1 -0.0047
Median 0.0005
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0060
Maximum 0.1223
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0123
Skewness -1.2629
Kurtosis 18.4539

Downside Risk

Close
Semi Deviation 0.0094
Gain Deviation 0.0081
Loss Deviation 0.0109
Downside Deviation (MAR=210%) 0.0139
Downside Deviation (Rf=0%) 0.0093
Downside Deviation (0%) 0.0093
Maximum Drawdown 0.7329
Historical VaR (95%) -0.0179
Historical ES (95%) -0.0308
Modified VaR (95%) -0.0196
Modified ES (95%) -0.0503
From Trough To Depth Length To Trough Recovery
2000-09-05 2009-03-09 NA -0.7329 5165 2136 NA
2000-03-29 2000-04-17 2000-06-27 -0.1489 63 14 49
1999-07-07 1999-10-21 1999-11-08 -0.0901 88 76 12
1999-02-05 1999-03-02 1999-05-03 -0.0833 60 17 43
2000-07-21 2000-08-03 2000-08-17 -0.0756 20 10 10

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.5 -0.8 0.3 -1.5 0.2 -1.1 -0.5 0.2 1.2 1.9 -0.7 0.9 -0.3
2000 1.3 0.2 -0.2 3.1 1.9 0.5 -0.5 2 0 -1.3 0 0.9 8.2
2001 -0.2 -0.5 0 1.2 -0.1 0.7 0.3 0.9 -1.7 0.6 0.4 -0.3 1.4
2002 -0.4 2.2 0 0 1.7 -1.6 -1.5 -0.5 2.5 1.4 -0.3 -0.7 2.9
2003 -0.6 -0.1 0.4 0.1 1.9 0.2 0.2 0.4 1.1 0.9 0.6 0.6 5.7
2004 0 0.7 0.2 0.7 1.9 -1.1 0 -0.2 0.2 -1.4 1.2 0.4 2.6
2005 0.2 0.9 -0.5 0.6 0.2 -0.4 -0.5 0.4 -0.2 -0.2 1.7 -0.3 2
2006 -0.3 0.8 0 -0.6 1.4 0.7 -0.5 0.7 0.2 0.2 0.2 -0.3 2.4
2007 0.4 -1.2 -0.1 -0.6 0.2 -0.1 -1.2 0.9 1.2 -0.9 1.6 1.8 2
2008 1.3 -1.5 1.8 1 0 -0.7 0.3 -0.3 0.4 1.6 -5.5 2.9 1
2009 -2.2 -1.2 0.5 -0.9 3.2 1 0.1 -2.1 -2.2 -2.1 0.9 0.1 -5.1
2010 0.6 1 0.1 -0.6 -1 -1 0.3 1.6 0.2 0.2 1.1 0.1 2.6
2011 1.7 -0.1 0.7 1.3 -1.3 1.1 -2.4 -0.6 -1.6 -3.5 -0.1 0.3 -4.5
2012 0.6 0 0.4 0.6 -1.5 1.9 0.1 0.7 -0.1 1.2 0.2 4 8.3
2013 0.6 0.2 -0.9 -1.2 -0.6 0.7 0.9 -0.4 1.3 -0.2 0.4 0 0.8
2014 -0.3 -0.1 0.4 0.3 0.4 0.5 -0.8 0.4 -1 1.8 -0.5 -0.2 0.7
2015 -0.1 0.4 -0.5 -0.1 0.1 0 -0.4 -2.3 -0.3 0.2 1.1 -0.1 -2.1
2016 0.3 1.9 0.3 -0.4 0.4 0 0.1 0 1 -0.3 -0.8 0.4 2.9
2017 -0.3 1 -0.1 -1.5 -0.1 -0.1 0.5 0.2 0.2 -0.1 -0.9 -0.4 -1.5
2018 0 -1.2 0.5 0.2 0.9 2.2 0.8 0 0.2 0.5 1.7 1 6.9
2019 0.3 0.2 0.7 -0.3 -0.9 1 -0.5 1.1 -1 0.8 0.3 -0.6 1.2
2020 -2 -1.9 -3.8 -2.6 0.8 -0.2 0.4 0.1 0.9 -0.8 1 1.5 -6.5
2021 0.7 1.3 -0.1 NA NA NA NA NA NA NA NA NA 1.9

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart